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A cross section of 18 Indian banks are surveyed to assess the interest rate risk levels reported by them in their Basel II Pillar III disclosures. The banks report interest rate risk levels ranging from less than 1% to 9%.A regression analysis of interest rate risk levels against ownership,...
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regression model, with bank fixed effects and year fixed effects. The moderator variables considered for the study include bank …-performing loans to net advances for which the systemic risk is non-positive. The results of the study indicate that bank size, capital … for individual banks with estimates or projections of the bank's characteristics …
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coefficients significantly influenced bank profitability. The study extrapolates the importance of regulatory capital and the …
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faced by a bank. Assuming that loans may turn bad any year after they are granted, a banks’ lending behaviour has been shown … Indian banking industry. However, when the systemic importance of the bank is considered, the systemically important banks …
Persistent link: https://www.econbiz.de/10013475207
We develop a new credit risk model for Indian debt securities rated by major credit rating agencies in India using the ordinal logistic regression (OLR). The robustness of the model is tested by comparing it with classical models available for ratings prediction. We improved the model’s...
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